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A flexible state-space model with lagged states and lagged dependent variables: simulation smoothing

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Bibliographic Details
Authors and Corporations: Hauber, Philipp (Author), Schumacher, Christian (Author), Zhang, Jiachun (Author)
Other Authors: Schumacher, Christian [Author] • Zhang, Jiachun [Author]
Type of Resource: E-Book
Language: English
published:
Frankfurt am Main Deutsche Bundesbank [2019]
Series: Deutsche Bundesbank: Discussion paper ; no 2019, 15
Subjects:
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
ISBN: 9783957295828
Description
Summary: We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this paper, we derive the corresponding Kalman smoother moments and propose an efficient simulation smoother, which relies on mean corrections for unconditional vectors. When applied to a factor model, the proposed simulation smoother for the states is efficient compared to other state-space models without lagged states and/or lagged dependent variables in terms of computing time."
Physical Description: 1 Online-Ressource (circa 25 Seiten); Illustrationen
ISBN: 9783957295828